Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0797 |
| Annualized Std Dev | 0.2654 |
| Annualized Sharpe (Rf=0%) | 0.3005 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3622.0000 |
| NAs | 1.0000 |
| Minimum | -0.1507 |
| Quartile 1 | -0.0064 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0084 |
| Maximum | 0.1545 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0167 |
| Skewness | -0.5474 |
| Kurtosis | 9.9361 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0124 |
| Gain Deviation | 0.0113 |
| Loss Deviation | 0.0138 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0122 |
| Downside Deviation (0%) | 0.0122 |
| Maximum Drawdown | 0.6445 |
| Historical VaR (95%) | -0.0252 |
| Historical ES (95%) | -0.0417 |
| Modified VaR (95%) | -0.0262 |
| Modified ES (95%) | -0.0542 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-27 | 2008-11-20 | 2017-04-25 | -0.6445 | 2346 | 229 | 2117 |
| 2020-02-21 | 2020-03-23 | 2020-07-17 | -0.3670 | 103 | 22 | 81 |
| 2018-01-29 | 2018-12-24 | 2019-05-03 | -0.2237 | 318 | 229 | 89 |
| 2021-01-08 | 2021-03-08 | NA | -0.1296 | 50 | 40 | NA |
| 2007-07-16 | 2007-08-16 | 2007-10-01 | -0.1219 | 55 | 24 | 31 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -2.4 | -1.4 | -0.7 | -4.4 |
| 2007 | 0.8 | -1 | -0.2 | -0.7 | 1.2 | -0.6 | -0.1 | 1.8 | 2.5 | -2.7 | -0.2 | -1.5 | -0.6 |
| 2008 | 4.1 | -2.3 | 3.3 | 1.2 | 2.1 | -1.7 | -0.8 | -0.9 | 4.3 | 1.5 | -8.2 | 2.8 | 4.9 |
| 2009 | -1 | -1.2 | 3.2 | 0.8 | 3.8 | 1.8 | 0.4 | -2.9 | -3.8 | -3 | 2.7 | -0.3 | 0.2 |
| 2010 | 1.5 | 1.5 | 0.7 | -2.4 | -2.5 | 0.4 | -0.7 | 3.6 | 0.3 | -0.9 | 2.7 | 0.1 | 4.1 |
| 2011 | 1.7 | -1.8 | 0 | 0.8 | -2.6 | 1.3 | -0.9 | -2.2 | -2.5 | -4.2 | -0.1 | 0.1 | -10.2 |
| 2012 | 2.4 | -0.3 | 0.9 | 1.3 | -3.9 | 3.9 | -0.9 | 0.8 | 0.5 | 1.5 | -0.1 | 1.3 | 7.4 |
| 2013 | 1 | -0.6 | -1.3 | -0.9 | -1.1 | 1.1 | 1.2 | -0.9 | 1.3 | -0.3 | 0.4 | 0.8 | 0.6 |
| 2014 | -1 | 0.2 | 1.2 | -0.1 | 0 | 0.6 | -0.3 | 0 | -1.5 | 1 | -1.6 | -0.1 | -1.6 |
| 2015 | -1 | 0.6 | 0.1 | 0 | 0 | 0.3 | 0.1 | -2.8 | -0.4 | 0.6 | 0.2 | -0.9 | -3.1 |
| 2016 | 0.1 | 2.5 | -0.9 | -2.2 | 0.6 | 0.9 | 0.7 | 0.9 | 1.2 | -1.3 | -0.2 | 0.3 | 2.3 |
| 2017 | 0.2 | 1.8 | 0 | 0.3 | 1.1 | 0.6 | 0.6 | 0.1 | 0.4 | -0.4 | -1.1 | -0.5 | 3 |
| 2018 | 0.4 | -1.2 | 1.5 | -0.4 | 0.8 | 0.6 | -1 | -0.2 | -1.3 | 2.1 | -0.1 | 0.4 | 1.6 |
| 2019 | 0.3 | 0.4 | 1.8 | -0.6 | -1.1 | 0.9 | -1.2 | 0.4 | -2 | 1.7 | -0.5 | 0 | 0 |
| 2020 | -1.6 | -0.1 | -5.6 | -4.2 | 2 | -0.6 | -1.7 | 0.9 | 1.9 | -0.9 | 0.3 | 0 | -9.3 |
| 2021 | 2.2 | 3.1 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-10-24 24.7 SPY 138. 0.003 0.0108 0.0408 0.0871 0.149 0.334 0.266 GLD 58.2 0.0071 -0.0082
2 2006-10-25 25.0 SPY 138. 0.0034 0.0129 0.0357 0.0919 0.156 0.336 0.274 GLD 58.8 0.0101 0.00290
3 2006-10-26 25.3 SPY 139. 0.0031 0.0144 0.0377 0.0844 0.163 0.339 0.255 GLD 59.3 0.009 -0.002
4 2006-10-27 24.9 SPY 138. -0.0063 0.0078 0.0316 0.0787 0.168 0.313 0.250 GLD 59.4 0.0019 0.0105
5 2006-10-30 25.1 SPY 138. -0.0007 0.0025 0.0317 0.0832 0.150 0.310 0.283 GLD 59.9 0.0084 0.037
6 2006-10-31 25.0 SPY 138. -0.0001 -0.0007 0.0354 0.0758 0.147 0.307 0.298 GLD 60.2 0.0057 0.0356
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
